Bange, Mary M. Khang, Kenneth Miller Jr., Thomas W.
Abstract
We conduct performance tests of the recommended asset allocations made by a panel of international investment houses (the "Houses") from 1982 through 2005. We compare the returns and Sharpe Ratios from the recommended-weight portfolio against those of several benchmark portfolios and to a set of 10,000 returns and Sharpe Ratios from randomly shuffled-weight and shuffled-weight change portfolios. We find that the Houses generally fail to outperform the benchmarks. The shuffled-weight change benchmark exhibits a robust "style-preserving" property in that the average portfolio standard deviation is nearly equal to the portfolio standard deviation from the actual recommended weights.
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Volume (Year): 15 (2008) Issue (Month): 3 (June) Pages: 363-386 Download reference. The following formats are available: HTML
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